The following code is based on the R function called garchSim()
, which is included in the R package called fGarch
. The authors for fGarch
are Diethelm Wuertz and Yohan Chalabi. To find the related manual, we perform the following steps:
Go to http://www.r-project.org.
Click on CRAN under Download, Packages.
Choose a close-by server.
Click on Packages on the left-hand side of the screen.
Choose a list and search for
fGarch
.Click on the link and download the PDF file related to
fGarch
.
The Python program based on the R program is given as follows:
import scipy as sp import numpy as np import matplotlib.pyplot as plt # sp.random.seed(12345) m=2 n=100 # n is the number of observations nDrop=100 # we need to drop the first several observations delta=2 omega=1e-6 alpha=(0.05,0.05) # beta=0.8 mu,ma,ar=0.0,0.0,0.0 gamma=(0.0,0.0) order_ar=sp.size(ar) order_ma=sp.size(ma) order_beta=sp.size(beta) # order_alpha =sp.size...